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University of Colorado Denver Department of Mathematical & Statistical Sciences Events

Data Assimilation Seminar


Title: Convergence of the ensemble Kalman filter and exchangeability of the ensemble
Speaker(s): Jan Mandel
Affiliation: UCD Department of Mathematical and Statistical Sciences
When: Monday,  February 6, 2012
Time: 12:00 PM  -  2:00 PM
Where: CU building, Room 656

This talk will present an updated and simplified version of the proof of EnKF convergence in the gaussian case from Mandel, Cobb, and Beezley http://dx.doi.org/10.1007/s10492-011-0031-2 . The proof relies on the fact that the ensemble is a finite exchangeable sequence of random elements. Generalizations and obstacles to a generalization will be discussed. While all seems to be good for an ensemble in a Hilbert space with finite dimensional data, extension to the case of infinitely dimensional data runs into a difficulty when the data perturbation is white noise. Square root ensemble filters do not involve a data perturbation, but the generated ensemble may not be exchangeable, except for the ensemble adjustment Kalman filter (EAKF), which does make exchangeable ensembles.



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